Comparer des méthodes

	Test ARCH-LM pour le regroupement de la volatilité	Test de White pour l'hétéroscédasticité
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1982	1980
Auteur d'origine	Robert F. Engle	Halbert White
Type	Lagrange multiplier diagnostic test for conditional heteroscedasticity	General test for heteroskedasticity
Source fondatrice	Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.	White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838.
Alias	ARCH-LM Testi ve Volatilite Kümelenmesi Analizi, ARCH LM test, Engle's ARCH test, test for autoregressive conditional heteroscedasticity	White's general heteroskedasticity test, White değişen varyans testi
Apparentées	6	3
Résumé	The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model.	The White test, introduced by Halbert White in 1980, is a general test for heteroskedasticity that makes no assumption about its functional form. It regresses the squared OLS residuals on the regressors, their squares, and their cross-products, so it can detect heteroskedasticity related to any of these terms. The same 1980 paper introduced the heteroskedasticity-consistent ('White') standard errors that are the standard remedy when the test rejects.